OP - yes, that foal is going grey. Aside from the trueness of the colour, you can also see the grey muzzle and grey 'goggles' around the eyes. The second foal will be bay I would assume.
Farmpony, you are correct, greys can be born any colour. However, they are usually born an adult version of that colour, such as black all over, or bay with dark legs already. Most of the time they will also have few white hairs somewhere on their face, eyelashes are the most common place followed by around the eyes.
So you seem to know coloring, I have an Andy X Perch, she was born all cream with a white face and a pink muzzle.. She still has a white face and pink muzzle, she has turned a light brown with blonde dapples, she also is starting to show some gold coloring in her sides and on her withers. Andalusians change color over a period of years, I was told it takes them about 7 years altogether, she is also some color I've never seen before around the eyes and on her belly, it's kind of a grey-brown. The4 vet couldn't ID it as a color either. What do you think, wish I had a photo. She is beautiful as most Andys are and is a very tall gal. I got exactly what I wanted when I crossed these two breeds. Wishing now I hadn't gelded the stallion.